The authors use a firm-level vector autoregression (VAR) framework to examine the firm-level dynamics among investment, earnings and dividends. The firm-level VAR yields Granger causality results, impulse response functions, and variance decompositions characterizing the dynamics of these three...

In an efficient market, technical analysis cannot earn abnormal returns. Technical strategies are inferior to a buy and hold strategy since they typically churn investor accounts. Nonetheless, technical analysis appears to thrive. The purpose of this paper is to explain why technical analysis...

This article presents an alternative system for selling real estate. It overcomes the well-known deficiencies of the percentage commission system. In our system, the agent purchases the property from the seller and simultaneously receives a put option. The put option gives the agent the right to...

The P/E ratio is often used as a metric to compare individual stocks and the market as whole relative to historical valuations. We examine the factors that affect changes in the inverse of the P/E ratio (E/P) over time in the broad market (Samp;P500 Index). We use a limited number of variables...

The usual advice given to the public by financial planners and the popular press is that less debt is better and in particular owning your own house outright is a desirable goal. We show that this advice is often wrong because mortgage debt acts as an inflation hedge. Mortgage debt also has a...

The paper examines if a country's financial disclosure system affects the likelihood of speculative bubbles. We compare stock returns of eight countries that differ in the quality of their disclosure systems as ranked by Saudagaran and Biddle (1992). We examine the hypothesis that stock prices...

This study tests whether investor belief differences affect the cross-sectional variation of risk-neutral skewness, using data on firm-level stock options traded on the CBOE from 2003 to 2006. Using well known proxies for heterogeneous beliefs, we find that stocks with greater belief differences...

We provide evidence on the role of commodity futures in portfolios comprised of stocks, bonds, T‐bills, and real estate. Over the period investigated (1973–1997), Markowitz optimization over a range of risk levels gives substantial weight to commodity futures, thereby enhancing the...

This paper analyzes security-market returns relative to the political party of the president, the Federal Reserve's monetary policy, the year of the president's term, and the state of political gridlock. Contrary to prior studies, which evaluated the influences separately, we jointly evaluate...

We perform a comprehensive evaluation of the benefits of emerging market equities by extending previous research in four fundamental ways. The contribution of this study is that it 1) evaluates a more complete sample; 2) examines performance measures that account for asymmetric return...